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Journal of Accounting Education, 1997
Abstract This instructional case is intended to introduce graduate and undergraduate financial accounting and finance students to derivatives using interest rate swaps. The major learning objective is to understand derivative accounting methods, using interest rate swaps, as proposed by the Financial Accounting Standards Board's recent Exposure Draft.
Hugh D. Grove, John D. Bazley
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Abstract This instructional case is intended to introduce graduate and undergraduate financial accounting and finance students to derivatives using interest rate swaps. The major learning objective is to understand derivative accounting methods, using interest rate swaps, as proposed by the Financial Accounting Standards Board's recent Exposure Draft.
Hugh D. Grove, John D. Bazley
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The Journal of Derivatives, 2004
“The standard textbook explanation shows how two corporate counterparties of differing credit quality can swap fixed for floating interest payments and both end up ahead. But this explanation only provides a range, not a specific value, for the equilibrium swap rate, based on rate spreads in the corporate market. In this article, Klein argues that much
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“The standard textbook explanation shows how two corporate counterparties of differing credit quality can swap fixed for floating interest payments and both end up ahead. But this explanation only provides a range, not a specific value, for the equilibrium swap rate, based on rate spreads in the corporate market. In this article, Klein argues that much
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Interest Rate Swap Compounding Formulae
SSRN Electronic Journal, 2021In this short paper, we outline geometric and arithmetic compound formulae for interest rate swaps. We also present ISDA protocol when compounding with a floating spread.
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Effects of interest rate swaps
Journal of Economics and Business, 2001Abstract In this paper we examine the effect of interest rate swaps on the firm, and identify characteristics of firms that use interest rate swaps, reporting findings consistent with interest rate swaps being used as a risk-reducing instrument. Relative to nonswappers, firms using swaps are more likely to experience decreased cash flow variance in ...
Steven Balsam, Sungsoo Kim
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Hedging with Interest Rate Swap
Journal of Economics, Business and Management, 2013International ...
Jaffal, H. +2 more
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Uncollateralised Interest Rate Swap xVA
SSRN Electronic Journal, 2016Derivative valuation adjustments (xVA) have been an evolving topic over the past decade, now giving us a rich theory of what was traditionally referred to as the relatively opaque "credit spread" imposed by banks. As independent risk advisors, we are regularly positioned between clients and their banks, considering the impacts of both parties' xVA when
Ryan McCrickerd +2 more
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An Economic Analysis of Interest Rate Swaps
The Journal of Finance, 1986ABSTRACTInterest rate swaps, a financial innovation in recent years, are based upon the principle of comparative advantage. An interest rate swap is a useful tool for active liability management and for hedging against interest rate risk. The purpose of this paper is to provide a simple economic analysis of interest rate swaps.
Bicksler, James, Chen, Andrew H
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Accounting for Interest Rate Swaps
Journal of Accounting, Auditing & Finance, 1987There are major accounting issues for both the counterparties and the principal of an interest rate swap transaction. Currently, the market for swaps well exceeds $150 billion, and at this writing there are no explicit accounting standards for such transactions.
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Interest Rate Swaps and Corporate Financing Choices
The Journal of Finance, 1992ABSTRACTThis paper describes the firm's decision to borrow short‐term versus long‐term and shows how the introduction of interest rate swaps affects this choice. The model shows that in the absence of a swap market, interest rate uncertainty can lead firms to substitute long‐term for short‐term financing.
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